The dynamics of crude oil future prices on China's energy markets: Quantile‐on‐quantile and casualty‐in‐quantiles approaches

Abstract

This study employs the quantile‐on‐quantile method, casualty‐in‐quantiles method, and rolling window regression to investigate the impact of international crude oil future prices on the stock prices of both traditional and new energy sectors in China. The empirical results reveal that the effect of oil future prices on the energy stock market in China varies across quantiles and is easily affected by extreme events. Specifically, the impact of oil future prices on the new energy stock market is significant and volatile, while it is less volatile and displays a negative correlation with the traditional energy market. Furthermore, a concentrated positive correlation is observed in the middle and low quantile stages of the energy stock market. A significant Granger causality exists between oil future prices and the energy stock market in different quantiles. Those findings can provide useful guidance for policymakers, investors, and consumers.